USMV Options History — February 2015 In February 2015, USMV traded between $40.63 and $41.81. ATM implied volatility averaged 10.3%, placing in the 5.6% IV rank vs the trailing year. The 30-day expected move averaged 3.0%. IV traded below realized volatility by 2.3% (HV 20d: 12.7%). Max pain ranged from $40.00 to $41.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 1.11.
Notable Days 2015-02-18 : Highest Volume — 240 contracts2015-02-20 : Largest IV drop — 42.0% change2015-02-11 : Highest IV Rank — 8.1%2015-02-11 : Largest Expected Move — 3.7%Monthly Statistics Metric Avg Min Max Open Close Price $41.38 $40.63 $41.81 $40.63 $41.75 Max Pain $40.11 $40.00 $41.00 $40.00 $40.00 ATM IV 10.3% 6.4% 12.8% 10.9% 8.0% Expected Move 3.0% 1.8% 3.7% 3.1% 2.3% HV 20d 12.7% 10.8% 13.6% 13.6% 10.8% HV 60d 11.4% 10.7% 11.6% 10.7% 11.5% IV Rank 5.6% 1.8% 8.1% 6.2% 3.3% IV Percentile 52.2% 7.1% 69.8% 58.7% 28.6% Term Structure 0.2% -2.2% 2.8% 1.9% -0.9% VWIV 11.2% 9.6% 13.2% 9.6% 10.5% Skew 25d 3.8% 1.8% 5.3% 5.3% 4.1% Skew 10d 5.6% 2.5% 10.6% 10.6% 4.4% Call IV 25d 9.5% 7.6% 12.4% 10.7% 8.2% Put IV 25d 13.3% 10.7% 16.2% 16.0% 12.4% Bid-Ask Spread % 101.87 93.62 109.80 109.80 102.33 Gamma HHI 0.26 0.21 0.36 0.31 0.33 Net GEX -11.3K -30.0K -2.6K -30.0K -13.3K Net DEX -181.6K -274.8K 28.8K 28.8K -241.7K Net VEX -938 -1.1K -822 -999 -934 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.11 0.00 1.41 1.06 1.28 Total Volume 185.842 0 240 13 194 Total OI 275.737 243 298 250 245
Daily Data (19 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2015-02-02 $40.63 $40.00 10.9% 3.1% 13.6% 6.2% 0.0% 5.3% 1.9% -30.0K 28.8K -999 0.00 109.80 N/A N/A 0 13 84 166 2015-02-03 $41.07 $40.00 11.0% 3.2% 13.5% 6.3% 9.6% 5.0% 0.7% -14.9K -135.1K -969 1.06 105.55 N/A N/A 105 111 108 176 2015-02-04 $40.93 $40.00 11.3% 3.2% 13.5% 6.6% 10.0% 1.8% 1.0% -16.4K -114.2K -1.1K 1.14 105.45 N/A N/A 108 123 108 176 2015-02-05 $41.37 $40.00 10.0% 3.5% 13.3% 5.3% 12.7% 5.3% -0.1% -12.6K -162.5K -1.0K 1.14 96.94 N/A N/A 108 123 111 179 2015-02-06 $40.97 $40.00 10.5% 3.4% 12.9% 5.8% 11.7% 2.8% 1.4% -14.1K -136.5K -1.0K 1.14 99.84 N/A N/A 108 123 111 179 2015-02-09 $40.80 $40.00 11.9% 3.6% 12.8% 7.2% 13.2% 3.8% -0.7% -17.2K -114.0K -1.0K 1.11 93.62 N/A N/A 111 123 111 179 2015-02-10 $41.24 $40.00 11.7% 3.5% 13.3% 6.9% 12.8% 3.7% 0.5% -9.6K -155.6K -972 1.11 95.67 N/A N/A 111 123 115 179 2015-02-11 $41.22 $40.00 12.8% 3.7% 13.2% 8.1% 12.3% 2.9% -0.4% -8.3K -173.7K -980 1.10 98.02 N/A N/A 111 122 115 179 2015-02-12 $41.44 $40.00 11.6% 3.3% 13.3% 6.9% 11.2% 3.7% 1.0% -5.0K -207.9K -905 1.10 98.89 N/A N/A 111 122 115 179 2015-02-13 $41.46 $40.00 11.2% 3.2% 13.3% 6.5% 10.5% 2.8% 0.5% -7.2K -213.1K -870 1.10 98.31 N/A N/A 111 122 115 179 2015-02-17 $41.45 $40.00 11.8% 3.4% 12.8% 7.1% 11.5% 3.8% 0.2% -5.3K -210.1K -897 1.28 102.25 N/A N/A 95 122 115 179 2015-02-18 $41.61 $40.00 10.2% 2.9% 12.8% 5.5% 11.3% 3.3% -0.8% -2.6K -246.3K -827 1.03 103.46 N/A N/A 118 122 119 179 2015-02-19 $41.46 $41.00 11.1% 3.2% 12.9% 6.4% 0.0% 2.8% 0.7% -3.0K -141.1K -921 0.00 108.96 N/A N/A 0 0 102 179 2015-02-20 $41.73 $41.00 6.4% 1.8% 12.2% 1.8% 0.0% 3.9% 2.8% -12.7K -170.3K -822 0.00 108.84 N/A N/A 4 0 102 179 2015-02-23 $41.75 $40.00 8.5% 2.4% 12.1% 3.8% 10.6% 3.9% -0.6% -12.9K -245.6K -931 1.41 103.24 N/A N/A 85 120 116 127 2015-02-24 $41.79 $40.00 9.3% 2.7% 12.0% 4.6% 10.6% 4.7% -1.8% -9.5K -274.0K -853 1.28 100.83 N/A N/A 85 109 116 127 2015-02-25 $41.81 $40.00 9.2% 2.6% 11.7% 4.5% 10.5% 4.4% -2.2% -9.2K -274.8K -851 1.28 99.47 N/A N/A 85 109 116 129 2015-02-26 $41.78 $40.00 8.9% 2.6% 10.9% 4.2% 10.1% 3.6% 0.2% -11.2K -263.0K -887 1.28 104.08 N/A N/A 85 109 116 129 2015-02-27 $41.75 $40.00 8.0% 2.3% 10.8% 3.3% 10.5% 4.1% -0.9% -13.3K -241.7K -934 1.28 102.33 N/A N/A 85 109 116 129
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